The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model
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DOI: 10.1016/j.spl.2007.02.007
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- Diongue, Abdou Kâ & Guégan, Dominique, 2007. "The stationary seasonal hyperbolic asymmetric power ARCH model," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1158-1164, June.
- Abdou Kâ Diongue & Dominique Guegan, 2007. "The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00179275, HAL.
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Cited by:
- Dark Jonathan Graeme, 2010. "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-50, March.
- Lee, Oesook, 2018. "Stationarity and functional central limit theorem for ARCH(∞) models," Economics Letters, Elsevier, vol. 162(C), pages 107-111.
- Conrad, Christian, 2010.
"Non-negativity conditions for the hyperbolic GARCH model,"
Journal of Econometrics, Elsevier, vol. 157(2), pages 441-457, August.
- Christian Conrad, 2007. "Non-negativity Conditions for the Hyperbolic GARCH Model," KOF Working papers 07-162, KOF Swiss Economic Institute, ETH Zurich.
- Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
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More about this item
Keywords
Seasonality; Persistence; Asymmetry; Aparch model; Hyperbolic distribution; Stationary solution;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2007-10-27 (Econometrics)
- NEP-ETS-2007-10-27 (Econometric Time Series)
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